Littérature scientifique sur le sujet « McKean stochastic differential equation »
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Articles de revues sur le sujet "McKean stochastic differential equation"
Wang, Weifeng, Lei Yan, Junhao Hu et Zhongkai Guo. « An Averaging Principle for Mckean–Vlasov-Type Caputo Fractional Stochastic Differential Equations ». Journal of Mathematics 2021 (16 juillet 2021) : 1–11. http://dx.doi.org/10.1155/2021/8742330.
Texte intégralQiao, Huijie, et Jiang-Lun Wu. « Path independence of the additive functionals for McKean–Vlasov stochastic differential equations with jumps ». Infinite Dimensional Analysis, Quantum Probability and Related Topics 24, no 01 (mars 2021) : 2150006. http://dx.doi.org/10.1142/s0219025721500065.
Texte intégralMa, Li, Fangfang Sun et Xinfang Han. « Controlled Reflected McKean–Vlasov SDEs and Neumann Problem for Backward SPDEs ». Mathematics 12, no 7 (31 mars 2024) : 1050. http://dx.doi.org/10.3390/math12071050.
Texte intégralNarita, Kiyomasa. « The Smoluchowski–Kramers approximation for the stochastic Liénard equation by mean-field ». Advances in Applied Probability 23, no 2 (juin 1991) : 303–16. http://dx.doi.org/10.2307/1427750.
Texte intégralNarita, Kiyomasa. « The Smoluchowski–Kramers approximation for the stochastic Liénard equation by mean-field ». Advances in Applied Probability 23, no 02 (juin 1991) : 303–16. http://dx.doi.org/10.1017/s000186780002351x.
Texte intégralPham, Huyên, et Xiaoli Wei. « Bellman equation and viscosity solutions for mean-field stochastic control problem ». ESAIM : Control, Optimisation and Calculus of Variations 24, no 1 (janvier 2018) : 437–61. http://dx.doi.org/10.1051/cocv/2017019.
Texte intégralBahlali, Khaled, Mohamed Amine Mezerdi et Brahim Mezerdi. « Stability of McKean–Vlasov stochastic differential equations and applications ». Stochastics and Dynamics 20, no 01 (12 juin 2019) : 2050007. http://dx.doi.org/10.1142/s0219493720500070.
Texte intégralBao, Jianhai, Christoph Reisinger, Panpan Ren et Wolfgang Stockinger. « First-order convergence of Milstein schemes for McKean–Vlasov equations and interacting particle systems ». Proceedings of the Royal Society A : Mathematical, Physical and Engineering Sciences 477, no 2245 (janvier 2021) : 20200258. http://dx.doi.org/10.1098/rspa.2020.0258.
Texte intégralNarita, Kiyomasa. « Asymptotic behavior of velocity process in the Smoluchowski–Kramers approximation for stochastic differential equations ». Advances in Applied Probability 23, no 2 (juin 1991) : 317–26. http://dx.doi.org/10.2307/1427751.
Texte intégralNarita, Kiyomasa. « Asymptotic behavior of velocity process in the Smoluchowski–Kramers approximation for stochastic differential equations ». Advances in Applied Probability 23, no 02 (juin 1991) : 317–26. http://dx.doi.org/10.1017/s0001867800023521.
Texte intégralThèses sur le sujet "McKean stochastic differential equation"
McMurray, Eamon Finnian Valentine. « Regularity of McKean-Vlasov stochastic differential equations and applications ». Thesis, Imperial College London, 2015. http://hdl.handle.net/10044/1/28918.
Texte intégralMezerdi, Mohamed Amine. « Equations différentielles stochastiques de type McKean-Vlasov et leur contrôle optimal ». Electronic Thesis or Diss., Toulon, 2020. http://www.theses.fr/2020TOUL0014.
Texte intégralWe consider Mc Kean-Vlasov stochastic differential equations (SDEs), which are SDEs where the drift and diffusion coefficients depend not only on the state of the unknown process but also on its probability distribution. These SDEs called also mean- field SDEs were first studied in statistical physics and represent in some sense the average behavior of an infinite number of particles. Recently there has been a renewed interest for this kind of equations in the context of mean-field game theory. Since the pioneering papers by P.L. Lions and J.M. Lasry, mean-field games and mean-field control theory has raised a lot of interest, motivated by applications to various fields such as game theory, mathematical finance, communications networks and management of oil resources. In this thesis, we studied questions of stability with respect to initial data, coefficients and driving processes of Mc Kean-Vlasov equations. Generic properties for this type of SDEs, such as existence and uniqueness, stability with respect to parameters, have been investigated. In control theory, our attention were focused on existence, approximation of relaxed controls for controlled Mc Kean-Vlasov SDEs
Izydorczyk, Lucas. « Probabilistic backward McKean numerical methods for PDEs and one application to energy management ». Electronic Thesis or Diss., Institut polytechnique de Paris, 2021. http://www.theses.fr/2021IPPAE008.
Texte intégralThis thesis concerns McKean Stochastic Differential Equations (SDEs) to representpossibly non-linear Partial Differential Equations (PDEs). Those depend not onlyon the time and position of a given particle, but also on its probability law. In particular, we treat the unusual case of Fokker-Planck type PDEs with prescribed final data. We discuss existence and uniqueness for those equations and provide a probabilistic representation in the form of McKean type equation, whose unique solution corresponds to the time-reversal dynamics of a diffusion process.We introduce the notion of fully backward representation of a semilinear PDE: thatconsists in fact in the coupling of a classical Backward SDE with an underlying processevolving backwardly in time. We also discuss an application to the representationof Hamilton-Jacobi-Bellman Equation (HJB) in stochastic control. Based on this, we propose a Monte-Carlo algorithm to solve some control problems which has advantages in terms of computational efficiency and memory whencompared to traditional forward-backward approaches. We apply this method in the context of demand side management problems occurring in power systems. Finally, we survey the use of generalized McKean SDEs to represent non-linear and non-conservative extensions of Fokker-Planck type PDEs
Le, cavil Anthony. « Représentation probabiliste de type progressif d'EDP nonlinéaires nonconservatives et algorithmes particulaires ». Thesis, Université Paris-Saclay (ComUE), 2016. http://www.theses.fr/2016SACLY023.
Texte intégralThis thesis performs forward probabilistic representations of nonlinear and nonconservative Partial Differential Equations (PDEs), which allowto numerically estimate the corresponding solutions via an interacting particle system algorithm, mixing Monte-Carlo methods and non-parametric density estimates.In the literature, McKean typeNonlinear Stochastic Differential Equations (NLSDEs) constitute the microscopic modelof a class of PDEs which are conservative. The solution of a NLSDEis generally a couple $(Y,u)$ where $Y$ is a stochastic process solving a stochastic differential equation whose coefficients depend on $u$ and at each time $t$, $u(t,cdot)$ is the law density of the random variable $Y_t$.The main idea of this thesis is to consider this time a non-conservative PDE which is the result of a conservative PDE perturbed by a term of the type $Lambda(u, nabla u) u$. In this case, the solution of the corresponding NLSDE is again a couple $(Y,u)$, where again $Y$ is a stochastic processbut where the link between the function $u$ and $Y$ is more complicated and once fixed the law of $Y$, $u$ is determined by a fixed pointargument via an innovating Feynmann-Kac type formula
Le, cavil Anthony. « Représentation probabiliste de type progressif d'EDP nonlinéaires nonconservatives et algorithmes particulaires ». Electronic Thesis or Diss., Université Paris-Saclay (ComUE), 2016. http://www.theses.fr/2016SACLY023.
Texte intégralThis thesis performs forward probabilistic representations of nonlinear and nonconservative Partial Differential Equations (PDEs), which allowto numerically estimate the corresponding solutions via an interacting particle system algorithm, mixing Monte-Carlo methods and non-parametric density estimates.In the literature, McKean typeNonlinear Stochastic Differential Equations (NLSDEs) constitute the microscopic modelof a class of PDEs which are conservative. The solution of a NLSDEis generally a couple (Y,u) where Y is a stochastic process solving a stochastic differential equation whose coefficients depend on u and at each time t, u(t,.) is the law density of the random variable Yt.The main idea of this thesis is to consider this time a non-conservative PDE which is the result of a conservative PDE perturbed by a term of the type Lambda(u, nabla u) u. In this case, the solution of the corresponding NLSDE is again a couple (Y,u), where again Y is a stochastic processbut where the link between the function u and Y is more complicated and once fixed the law of Y, u is determined by a fixed pointargument via an innovating Feynmann-Kac type formula
Treacy, Brian. « A stochastic differential equation derived from evolutionary game theory ». Thesis, Uppsala universitet, Analys och sannolikhetsteori, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-377554.
Texte intégralAl-Saadony, Muhannad. « Bayesian stochastic differential equation modelling with application to finance ». Thesis, University of Plymouth, 2013. http://hdl.handle.net/10026.1/1530.
Texte intégralLi, Shuang. « Study of Various Stochastic Differential Equation Models for Finance ». Thesis, Curtin University, 2017. http://hdl.handle.net/20.500.11937/56545.
Texte intégralBotha, Imke. « Bayesian inference for stochastic differential equation mixed effects models ». Thesis, Queensland University of Technology, 2020. https://eprints.qut.edu.au/198039/1/Imke_Botha_Thesis.pdf.
Texte intégralZararsiz, Zarife. « On an epidemic model given by a stochastic differential equation ». Thesis, Växjö University, School of Mathematics and Systems Engineering, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:vxu:diva-5747.
Texte intégralLivres sur le sujet "McKean stochastic differential equation"
Peszat, S. Stochastic partial differential equations with Lévy noise : An evolution equation approach. Cambridge : Cambridge University Press, 2007.
Trouver le texte intégralIntroduction to stochastic analysis and Malliavin calculus. Pisa, Italy : Edizioni della Normale, 2007.
Trouver le texte intégralTadahisa, Funaki, et Woyczyński W. A. 1943-, dir. Nonlinear stochastic PDE's : Hydrodynamic limit and Burgers' turbulence. New York : Springer, 1996.
Trouver le texte intégralFrank, T. D. Nonlinear Fokker-Planck equations : Fundamentals and applications. Berlin : Springer, 2004.
Trouver le texte intégralSowers, R. B. Short-time geometry of random heat kernels. Providence, R.I : American Mathematical Society, 1998.
Trouver le texte intégralSowers, R. B. Short-time geometry of random heat kernels. Providence, R.I : American Mathematical Society, 1998.
Trouver le texte intégral1952-, Sanz Solé Marta, dir. H\older-Sobolev regularity of the solution to the stochastic wave equation in dimension three. Providence, R.I : American Mathematical Society, 2009.
Trouver le texte intégralThe Fokker-Planck equation for stochastic dynamical systems and its explicit steady state solutions. Singapore : World Scientific, 1994.
Trouver le texte intégralLawler, Gregory F. Random walk and the heat equation. Providence, R.I : American Mathematical Society, 2010.
Trouver le texte intégralPascal, Auscher, Coulhon T et Grigoryan A, dir. Heat kernels and analysis on manifolds, graphs, and metric spaces : Lecture notes from a quarter program on heat kernels, random walks, and analysis on manifolds and graphs, April 16-July 13, 2002, Emile Borel Centre of the Henri Poincaré Institute, Paris, France. Providence, R.I : American Mathematical Society, 2003.
Trouver le texte intégralChapitres de livres sur le sujet "McKean stochastic differential equation"
Izydorczyk, Lucas, Nadia Oudjane et Francesco Russo. « McKean Feynman-Kac Probabilistic Representations of Non-linear Partial Differential Equations ». Dans Geometry and Invariance in Stochastic Dynamics, 187–212. Cham : Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-87432-2_10.
Texte intégralKusuoka, Shigeo. « Stochastic Differential Equation ». Dans Monographs in Mathematical Economics, 135–77. Singapore : Springer Singapore, 2020. http://dx.doi.org/10.1007/978-981-15-8864-8_6.
Texte intégralMiller, Enzo, et Huyên Pham. « Linear-Quadratic McKean-Vlasov Stochastic Differential Games ». Dans Modeling, Stochastic Control, Optimization, and Applications, 451–81. Cham : Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-25498-8_19.
Texte intégralChiarella, Carl, Xue-Zhong He et Christina Sklibosios Nikitopoulos. « The Stochastic Differential Equation ». Dans Dynamic Modeling and Econometrics in Economics and Finance, 55–91. Berlin, Heidelberg : Springer Berlin Heidelberg, 2015. http://dx.doi.org/10.1007/978-3-662-45906-5_4.
Texte intégralHirsch, Francis, Christophe Profeta, Bernard Roynette et Marc Yor. « The Stochastic Differential Equation Method ». Dans Peacocks and Associated Martingales, with Explicit Constructions, 223–64. Milano : Springer Milan, 2011. http://dx.doi.org/10.1007/978-88-470-1908-9_6.
Texte intégralSoize, Christian. « Markov Process and Stochastic Differential Equation ». Dans Uncertainty Quantification, 41–59. Cham : Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-54339-0_3.
Texte intégralZobitz, John M. « Statistics of a Stochastic Differential Equation ». Dans Exploring Modeling with Data and Differential Equations Using R, 327–42. Boca Raton : Chapman and Hall/CRC, 2022. http://dx.doi.org/10.1201/9781003286974-26.
Texte intégralFukushima, Masatoshi. « Dirichlet Forms, Caccioppoli Sets and the Skorohod Equation ». Dans Stochastic Differential and Difference Equations, 59–66. Boston, MA : Birkhäuser Boston, 1997. http://dx.doi.org/10.1007/978-1-4612-1980-4_6.
Texte intégralAtangana, Abdon, et Seda İgret Araz. « Numerical Scheme for a General Stochastic Equation with Classical and Fractional Derivatives ». Dans Fractional Stochastic Differential Equations, 61–82. Singapore : Springer Nature Singapore, 2022. http://dx.doi.org/10.1007/978-981-19-0729-6_4.
Texte intégralOhkubo, Jun. « Solving Partial Differential Equation via Stochastic Process ». Dans Lecture Notes in Computer Science, 105–14. Berlin, Heidelberg : Springer Berlin Heidelberg, 2010. http://dx.doi.org/10.1007/978-3-642-13523-1_13.
Texte intégralActes de conférences sur le sujet "McKean stochastic differential equation"
Granita et Arifah Bahar. « Stochastic differential equation model to Prendiville processes ». Dans THE 22ND NATIONAL SYMPOSIUM ON MATHEMATICAL SCIENCES (SKSM22) : Strengthening Research and Collaboration of Mathematical Sciences in Malaysia. AIP Publishing LLC, 2015. http://dx.doi.org/10.1063/1.4932498.
Texte intégralAsano, T., T. Wada, M. Ohta et N. Takigawa. « Langevin equation as a stochastic differential equation in nuclear physics ». Dans TOURS SYMPOSIUM ON NUCLEAR PHYSICS VI. AIP, 2007. http://dx.doi.org/10.1063/1.2713551.
Texte intégralQi, Hongsheng, Junshan Lin, Yuyan Ying et Jiahao Zhang. « Stochastic two dimensional car following model by stochastic differential equation ». Dans 2022 IEEE 25th International Conference on Intelligent Transportation Systems (ITSC). IEEE, 2022. http://dx.doi.org/10.1109/itsc55140.2022.9921829.
Texte intégralZhang, Xiao, Wei Wei, Lei Zhang et Chen Ding. « Neural Stochastic Differential Equation for Hyperspectral Image Classification ». Dans IGARSS 2021 - 2021 IEEE International Geoscience and Remote Sensing Symposium. IEEE, 2021. http://dx.doi.org/10.1109/igarss47720.2021.9555052.
Texte intégralLian, Baosheng, et Fen Yang. « Stochastic differential equation with Pth linear growth condition ». Dans 2011 International Conference on Information Science and Technology (ICIST). IEEE, 2011. http://dx.doi.org/10.1109/icist.2011.5765105.
Texte intégralVegh, Viktor, Zhengyi Yang, Quang M. Tieng et David C. Reutens. « Multimodal image registration using stochastic differential equation optimization ». Dans 2010 17th IEEE International Conference on Image Processing (ICIP 2010). IEEE, 2010. http://dx.doi.org/10.1109/icip.2010.5653395.
Texte intégralYang, Li, Shang-Pin Sheng, Romesh Saigal, Mingyan Liu, Dawei Chen et Qiang Zhang. « A stochastic differential equation model for spectrum utilization ». Dans 2011 International Symposium of Modeling and Optimization of Mobile, Ad Hoc, and Wireless Networks (WiOpt). IEEE, 2011. http://dx.doi.org/10.1109/wiopt.2011.5930019.
Texte intégralSeok, Jinwuk, et Changsik Cho. « Stochastic Differential Equation of the Quantization based Optimization ». Dans 2022 13th International Conference on Information and Communication Technology Convergence (ICTC). IEEE, 2022. http://dx.doi.org/10.1109/ictc55196.2022.9952667.
Texte intégralSharifi, J., et H. Momeni. « Optimal control equation for quantum stochastic differential equations ». Dans 2010 49th IEEE Conference on Decision and Control (CDC). IEEE, 2010. http://dx.doi.org/10.1109/cdc.2010.5717172.
Texte intégral« IMAGE DECONVOLUTION USING A STOCHASTIC DIFFERENTIAL EQUATION APPROACH ». Dans Bayesian Approach for Inverse Problems in Computer Vision. SciTePress - Science and and Technology Publications, 2007. http://dx.doi.org/10.5220/0002064701570164.
Texte intégralRapports d'organisations sur le sujet "McKean stochastic differential equation"
Kallianpur, G., et I. Mitoma. A Langevin-Type Stochastic Differential Equation on a Space of Generalized Functionals. Fort Belvoir, VA : Defense Technical Information Center, août 1988. http://dx.doi.org/10.21236/ada199809.
Texte intégralSnyder, Victor A., Dani Or, Amos Hadas et S. Assouline. Characterization of Post-Tillage Soil Fragmentation and Rejoining Affecting Soil Pore Space Evolution and Transport Properties. United States Department of Agriculture, avril 2002. http://dx.doi.org/10.32747/2002.7580670.bard.
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